Create a new TelerikWinForms project.
Add a collapsible panel.
Set the border colour via the "Edit UI Elements" button in the task menu, under BorderPrimitive.ForeColor.
The border will appear to change in design view, but will not change at runtime, with the appropriate line not being added to the form .Designer.cs file at all.
This was tested with the Windows 8 theme applied.
Workaround:
((Telerik.WinControls.Primitives.BorderPrimitive)(this.radCollapsiblePanel1.ControlsContainer.GetChildAt(0).GetChildAt(1))).ForeColor = Color.White;

Hello,
The "Edit UI Elements" dialog provides means for accessing particular elements which at the end will build the visual tree of the control. Due to the specifics of Visual Studio and the WinForms designer there is no guarantee that all settings applied to the inner elements will be serialized in the designer file. The recommended approach is to perform such modifications at run-time similarly to the workaround you are already using.
Regards,
Hristo